Bayesian optimization via simulation with pairwise sampling and correlated prior beliefs
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Publication:5740229
DOI10.1287/OPRE.2016.1480zbMATH Open1342.90107OpenAlexW2311178916WikidataQ131617230 ScholiaQ131617230MaRDI QIDQ5740229FDOQ5740229
Authors: Peter I. Frazier, Stephen E. Chick, Jing Xie 
Publication date: 25 July 2016
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2016.1480
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Cites Work
- Efficient global optimization of expensive black-box functions
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- Integer-ordered simulation optimization using R-SPLINE: retrospective search with piecewise-linear interpolation and neighborhood enumeration
- Stochastic kriging for simulation metamodeling
- An informational approach to the global optimization of expensive-to-evaluate functions
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- Global optimization of stochastic black-box systems via sequential kriging meta-models
- Selecting a selection procedure
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- The knowledge-gradient policy for correlated normal beliefs
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- Nested partitions method for stochastic optimization
- Using Common Random Numbers for Indifference-Zone Selection and Multiple Comparisons in Simulation
- The correlated knowledge gradient for simulation optimization of continuous parameters using Gaussian process regression
- Multiple comparisons with the best using common random numbers for steady-state simulations
- Pseudorandom Number Assignment in Statistically Designed Simulation and Distribution Sampling Experiments
- Comparison with a standard via fully sequential procedures
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- Using Common Random Numbers and Control Variates in Multiple-Comparison Procedures
- The effects of common random numbers on stochastic kriging metamodels
- Enhancing stochastic kriging metamodels with gradient estimators
Cited In (22)
- Probabilistic nonconvex constrained optimization with fixed number of function evaluations
- Posterior-Based Stopping Rules for Bayesian Ranking-and-Selection Procedures
- Design optimization under uncertainties of a mesoscale implant in biological tissues using a probabilistic learning algorithm
- Entropy-based closure for probabilistic learning on manifolds
- Nonstationary bandits with habituation and recovery dynamics
- Sequential selection with unknown correlation structures
- Parallel Bayesian global optimization of expensive functions
- Efficient learning for clustering and optimizing context-dependent designs
- Knowledge-based modeling of simulation behavior for Bayesian optimization
- Continuous multi-task Bayesian optimisation with correlation
- Gaussian Markov random fields for discrete optimization via simulation: framework and algorithms
- Ranking and selection: a new sequential Bayesian procedure for use with common random numbers
- Technical note—Knowledge gradient for selection with covariates: Consistency and computation
- Title not available (Why is that?)
- Dynamic Sampling Allocation Under Finite Simulation Budget for Feasibility Determination
- The correlated knowledge gradient for simulation optimization of continuous parameters using Gaussian process regression
- Bayesian optimisation vs. input uncertainty reduction
- Projected Gaussian Markov improvement algorithm for high-dimensional discrete optimization via simulation
- Bayesian Optimization Allowing for Common Random Numbers
- Bayesian updating with two-step parallel Bayesian optimization and quadrature
- Faster Kriging: facing high-dimensional simulators
- Rapid Discrete Optimization via Simulation with Gaussian Markov Random Fields
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